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Yes

I received Exam II results 19 minutes after Exam I results...

I hear you... I only answered as I did through process of elimination, thus not possible to be completely confident in the answer

With no certainty of being correct, of course, I chose B for the following reason: If I recall, the components were 3 indexes composed of large-cap, mid-cap and small-cap stocks. As could be observed from the 2-way efficient frontier lines (and is a reasonable approximation of real-world...

I can't be sure either, and those were the two best choices, but here is what I think: the "depths of business cycle" sounded too much like a trap for anyone forgetting that ratings are "through the cycle". That is, if "less quality" means lower ratings then no, the rating agencies do not give...

Fair enough, I just reversed that saying K*e-rt = 800, K = 808... 2 sides of the coin, eh?

Perhaps, but a lot of confused faces staying to the end at my site...

If I recall first 2 choices were same (long call & put at 1 yr/2yr maturity), but one was 808 strike and other 792... I chose 808 only because that's the forward at 1% rf-rate, and thus ATM. Why did you choose the 792?

Which notes? I just re-read the assigned reading from Allen and accounting isn't mentioned at all, not even once. That being said, I've subsequently learned from another source that financial statements submitted to Chase were fraudulent...

I took a look online, and while there's no explicit mention of accounting irregularities anywhere in the assigned reading for Drysdale, it turns out that Arthur Anderson had to pay a $45 million settlement to Chase for accounting "misrepresentation"... go figures GARP would give 2 choices that...

While I agree with you on AIB and Barings, Drysdale was a result of a flaw in the market practice for calculating the collateral value of US Treasuries. There was no fictitious or fraudulent accounting in the Drysdale event... they simply borrowed much more money than their capital would have...

Yes, 4.3 applies. Para 4.5 is even more specific to the point... the RM must disclose lack of knowledge. What if the model is time critical and the firm/client doesn't have a month to wait if it could be done faster by someone with specific knowledge?

Could be the need for a model is immediate, so asking for a month to "learn" is not sufficient. What if losses occurred during the month that might have been preventable if the RM had acknowledged the model could be built faster by someone who was already up to speed?

I agree on the high leverage answer (and hope GARP does as well!). As to the CoC question, though I could of course be wrong, I remember re-re-reading the RM's response specifically looking for disclosure of level of knowledge, and I recall the RM only asking for a month without explanation...

If I recall, it was prob of 5% for each, and 4% for both together... maybe too straight forward, but 4% together leaves 1% each alone... 4% + 1% + 1% gives 6% chance of at least one default.

My memory is hazy (particularly since I took the second exam right after)... do you, or anyone else, remember the 4 choices re barings, drysdale and aib? I recall none of them seemed spot on...

Zero correlation would show a roughly circular scattershot pattern... this one was definitely oval with a negative slope. An easy way to think of it is by quadrants of the Cartesian chart... I would say the 2nd (-/+) and 4th (+/-) quadrants easily had over 75% of the points, which my gut says...

Quoting paragraph 4.5 of the CoC: "GARP Memebers: Shall clearly disclose the relevant limits of their specific knowledge and expertise concerning risk assessment, industry practices, and applicable laws and regulations." Thus there is a positive requirement to disclose the lack of knowledge...

Question 30: For quantile VaR, there can be situations where VaR(PF) > VaR(A) + VaR(B) Question 41: As I recall the question specified a decline in "volatility", not a small price move. If GARP uses standard market terminology, that means a drop in implied volatility. Of the choices, the only...